English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

We attempt to unveil the fine structure of volatility feedback effects in thecontext of general quadratic autoregressive (QARCH) models, which assume thattoday's volatility can be expressed as a general quadratic form of the pastdaily returns. The standard ARCH or GARCH framework is recovered when thequadratic kernel is diagonal. The calibration of these models on US stockreturns reveals several unexpected features. The off-diagonal (non ARCH)coefficients of the quadratic kernel are found to be highly significant bothIn-Sample and Out-of-Sample, but all these coefficients turn out to be oneorder of magnitude smaller than the diagonal elements. This confirms that dailyreturns play a special role in the volatility feedback mechanism, as postulatedby ARCH models. The feedback kernel exhibits a surprisingly complex structure,incompatible with models proposed so far in the literature. Its spectralproperties suggest the existence of volatility-neutral patterns of pastreturns. The diagonal part of the quadratic kernel is found to decay as apower-law of the lag, in line with the long-memory of volatility. Finally,QARCH models suggest some violations of Time Reversal Symmetry in financialtime series, which are indeed observed empirically, although of much smalleramplitude than predicted. We speculate that a faithful volatility model shouldinclude both ARCH feedback effects and a stochastic component.

The fine-structure of volatility feedback I: multi-scale self-reflexivity